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If you can only afford one, I'd definitely recommend a circular polarizer (See list below). Down the road, look into a 3-and/or 6- stop neutral density filters. These three take care of most lighting situations.

MRC stands for Multi-Resistant Coating and costs more. The regular versions work just fine. Look into getting the slim threads to avoid vignetting.

You can use these individually or configure them differently by stacking them, although I normally would only stack one CPL with one ND filter at a time to avoid vignetting and image degradation. Asides from the obvious use in landscape photography, the polarizer and ND filters also help to keep the lens aperture wide, ie. shooting wide open at f/1.2, f/1.4, etc. in harsh lighting, ie during bright sunny days. I would not use them at night.

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B+W slim does not have front threads and comes with its own special lens cap. The cap never stays on & I find that to be a real pain.

You're correct. That's a very important point if you want to stack filters together. So yes. Do your research to find the exact one to fit your lens and shooting needs.

As for the lens cap, I found that either using your existing Canon lens cap or purchasing an extra one or two to be the best option as they fit the best, ie. if you have a filter with a 77mm filter thread, purchase an extra Canon 77mm lens cap. Push-on lens cap such as Kaiser's tend to fall off too easily and they vary in fit and quality from one to another.

F-pro is the standard thickness, "Slim" is, well, slim and does not have front threads. XS-Pro is slim and does have from threads. They might cost a little more, but allow stacking without vignetting on most lenses.

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I'd recommend CPL, ND Grad, Sunset ND Grad, and ND 2 & 6. You can also get a reverse ND grad which is also very useful. If you want cheap, you can get Tian Ya (not so advisable) or better yet, Lee filters. Get those that will fit 82mm or larger. Just use step rings which is cheaper than say getting new filters if you suddenly have a larger lens.